There are many kinds of drills with many different sizes, configurations, cordless and corded abilities available. Most drills use a key chuck system to loosen and tighten the drill bit. Some drills come with a keyless chuck system, but essentially the keyless and key chuck system do the same job. Regardless of the chuck system, changing the drill bit can be accomplished in just a few moments.
Insert the nub of the chuck key into the hole on the side of the drill chuck. Be sure you have the correct chuck key for your drill.
Rotate the chuck key to the left to loosen the drill chuck. You may have to use a little force to rotate the chuck key. Do not use a lot of force or you will strip the chuck key and damaged the jaws that are holding the drill bit.
Remove the drill bit by pulling it out. Replace with a new drill bit. Insert the chuck key into the drill chuck and rotate the key to the right to tighten the drill bit in place.